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Modeling cyclical behavior with differential-difference equations in an unobserved components framework

Chambers, MJ and McGarry, JS (2002) Modeling cyclical behavior with differential-difference equations in an unobserved components framework. In: UNSPECIFIED, ? - ?.

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Abstract

This paper considers a continuous time unobserved components model in which the cyclical component follows a differential-difference equation whereas the trend and seasonal components follow more standard differential equations. Estimation of the parameters of the model with either a stock or a flow variable is analyzed using a frequency domain Gaussian estimator whose asymptotic properties are derived paying particular attention to the role of a truncation parameter that arises in the practical computation of the spectral density function. The results of a simulation exercise, which assesses the finite sample performance of the estimator, are also provided.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Additional Information: Published proceedings: Econometric Theory
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Jul 2012 22:23
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2778

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